Pricing and hedging basis risk under no good deal assumption
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Publication:470724
DOI10.1007/S10436-013-0246-1zbMATH Open1298.91159OpenAlexW2240612422MaRDI QIDQ470724FDOQ470724
Authors: Laurence Carassus, Emmanuel Temam 
Publication date: 13 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-013-0246-1
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Cites Work
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Cited In (9)
- Good-deal option price bounds for a non-traded event with stochastic return: a note
- Negative basis measurement: finding the holy scale
- Hedging under generalized good-deal bounds and model uncertainty
- Good deal hedging and valuation under combined uncertainty about drift and volatility
- THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS
- Good deal indices in asset pricing: actuarial and financial implications
- Optimal hedging with basis risk
- Pricing and hedging in the presence of extraneous risks
- UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES
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